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A Risk-neutral Characterization of Optimization and Pessimism and its Applications

Author

Listed:
  • Osaki, Yusuke
  • Quiggin, John

Abstract

This note gives a simple, but useful characterization of optimism and pessimism represented by a convex and concave shift of probability weighting functions, and applies it to two comparative static analysis.

Suggested Citation

  • Osaki, Yusuke & Quiggin, John, 2007. "A Risk-neutral Characterization of Optimization and Pessimism and its Applications," Risk and Sustainable Management Group Working Papers 151180, University of Queensland, School of Economics.
    • Handle: RePEc:ags:uqsers:151180
    DOI: 10.22004/ag.econ.151180
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    References listed on IDEAS

    as
    1. Diecidue, Enrico & Wakker, Peter P, 2001. "On the Intuition of Rank-Dependent Utility," Journal of Risk and Uncertainty, Springer, vol. 23(3), pages 281-298, November.
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    13. Quiggin, John, 1991. "Comparative Statics for Rank-Dependent Expected Utility Theory," Journal of Risk and Uncertainty, Springer, vol. 4(4), pages 339-350, December.
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